I have answered this question about a hundred times (I wish this forum was easier to search, or organized better)... anyhow:
It is possible, simply use the ADODB objects.
Dim CN As ADODB.Connection
Dim RS As ADODB.RecordSet
Set CN = New ADODB.Connection
Set RS = New ADODB.RecordSet
SQL = "SELECT * FROM MyTable"
CN.Open "Driver={SQL Server};USR=username;PWD=Password;Databse=DatabaseName"
RS.Open SQl, CN
Do While RS.EOF = False
' Do Something
RS.MoveNext
Loop
RS.Close
CN.Close
Set RS = Nothing
Set CN = Nothing